That's because you don't convert audio files to video files....
Youtube hosts videos, not audio files. Mp3 is an audio file. You need a program like Windows Movie Maker (which you should have if you use Windows) so you can import the song, add a picture or vid, and export the file in a video format like MOV, AVI, MPG or MPEG4.
More information:
YouTube - Making and Optimizing Your Videos)